Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0009
Annualized Std Dev 0.1546
Annualized Sharpe (Rf=0%) 0.0057

Row

Daily Return Statistics

Close
Observations 4584.0000
NAs 1.0000
Minimum -0.1378
Quartile 1 -0.0035
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.0877
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0097
Skewness -1.2556
Kurtosis 28.9166

Downside Risk

Close
Semi Deviation 0.0073
Gain Deviation 0.0070
Loss Deviation 0.0087
Downside Deviation (MAR=210%) 0.0121
Downside Deviation (Rf=0%) 0.0073
Downside Deviation (0%) 0.0073
Maximum Drawdown 0.4899
Historical VaR (95%) -0.0133
Historical ES (95%) -0.0238
Modified VaR (95%) -0.0135
Modified ES (95%) -0.0135
From Trough To Depth Length To Trough Recovery
2003-06-17 2008-10-10 2012-10-03 -0.4899 2325 1323 1002
2016-09-09 2020-03-18 NA -0.3314 1140 886 NA
2012-12-03 2013-12-13 2016-05-05 -0.2789 862 261 601
2002-11-27 2003-02-13 2003-05-23 -0.0728 115 48 67
2016-07-07 2016-07-14 2016-08-18 -0.0393 31 6 25

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA NA 0.6 0.1 0.7
2003 -1.3 1 2.4 0.7 -0.8 0.7 1 1.1 0.1 -0.6 1.9 0.3 6.6
2004 -0.1 0.1 0.1 0.5 0.8 2.2 0 0.4 -1 -1.9 0.6 1.3 3.1
2005 0 0.1 -0.2 -1 -1 -0.1 -0.2 0.4 1 -0.6 -0.4 1.2 -0.7
2006 0.7 -0.4 0.2 0.2 1.5 0.8 -0.1 -0.1 -0.4 0.3 0 -0.3 2.5
2007 -0.9 0 0.5 1.8 1.1 -0.3 0.4 1.4 -2.3 0.1 -1.2 1.1 1.6
2008 -0.5 -4 0.1 0.1 0.6 0 0.3 0.7 2.3 -0.3 1.3 1.5 1.8
2009 0.5 0.4 1.9 2.2 -2.2 1.5 1 1.1 -0.5 0.3 0.9 0.2 7.5
2010 0.3 0.2 -0.4 0.4 0.5 -0.2 0.4 0.8 0.4 -0.1 -0.7 0.9 2.5
2011 0.9 0.1 0 0.6 0.2 0.4 0.6 -0.5 0.2 0.1 0.2 0.6 3.4
2012 0.5 -0.4 -0.8 1.7 -1 0.6 0.1 -0.4 0.1 0.3 0.4 -0.2 0.8
2013 0.5 -0.7 -0.5 0.8 -2.2 0.2 -0.6 0.3 0.1 -1.1 0.1 0.2 -2.7
2014 0.8 0.3 -0.2 0.4 -0.1 -0.4 -0.5 0.4 -0.1 -0.3 0.1 0.3 0.4
2015 0.7 1 0 -0.7 0.7 0.8 0.5 0.6 0.3 0.2 0.5 0 4.6
2016 0.1 0.6 0 0.2 1.2 0.1 0.1 0.5 -1.1 0.4 0.5 0.3 3
2017 -0.2 -0.1 0.5 -0.1 0.7 -0.2 0.7 0.1 0.2 0.3 0.3 0.3 2.5
2018 0 0 0 0.2 0.1 0.2 -0.3 -0.1 -0.3 0 0.4 0.8 1
2019 -0.5 0.3 0.6 0.4 0.6 0.3 0.3 0.8 0 0.1 -0.2 0.1 2.8
2020 0.2 -1.7 -3.9 0.1 -0.1 0.3 0.7 0.8 0.1 -0.3 -0.6 0.2 -4.4
2021 -0.2 0.2 0 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-11-22  15   SPY    93.4 -7.10e-3  0.0221    0.0573  -0.0193   -0.192   -0.345       NA <NA>     NA    NA       NA
2 2002-11-25  15.0 SPY    93.5  6.00e-4  0.0332    0.0364  -0.0072   -0.194   -0.344       NA <NA>     NA    NA       NA
3 2002-11-26  15.1 SPY    91.7 -1.90e-2  0.0148    0.0233  -0.0043   -0.206   -0.356       NA <NA>     NA    NA       NA
4 2002-11-27  15.0 SPY    94.3  2.81e-2  0.0207    0.0645   0.0232   -0.168   -0.332       NA <NA>     NA    NA       NA
5 2002-11-29  15.1 SPY    94.0 -3.20e-3 -0.00120   0.0509   0.024    -0.182   -0.338       NA <NA>     NA    NA       NA
6 2002-12-02  15   SPY    94.1  1.60e-3  0.0076    0.0634   0.0663   -0.175   -0.334       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart